FTSE 100 Implied Volatility Index 30 Days

CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.6307	2.87***
α ARCH Response to squared shocks	0.0854	2.88***
β GARCH Volatility persistence	0.8360	14.00***

γ₁	0.1673	0.53
γ₂	-0.6375	-1.43
γ₃	0.8248	3.24***
γ₄	-0.4164	-1.91*
γ₅	-0.0320	-0.15
γ₆	0.1500	1.00

V-Lab

T42 LoT Tracking Solutions PLC Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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